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A note on the relationships between the stock market and macroeconomic variables in Malaysia: An empirical re-examination of Granger non-causality test


Habibullah, Muzafar Shah and Azali, M. and Azman-Saini, W.N.W. and Baharumshah, Ahmad Zubaidi (2000) A note on the relationships between the stock market and macroeconomic variables in Malaysia: An empirical re-examination of Granger non-causality test. Analisis, 7 (1&2). pp. 143-153. ISSN 0127-8983

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Abstract

The purpose of the present paper is to determine whether stock returns are leading indicator for future economic activity in Malaysia. In this study we employ the Granger non-causality test recently proposed by Toda and Yamamoto (1995) to test the causal relationships between the KLSE stock prices and six macroeconomic variables for the sample period 1981:l to 1994:4. Our results indicate that stock prices are independent with respect with macroeconomic variables, except with money supply

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: UNSPECIFIED
Depositing User: Mrs. Norazmilah Yaakub
Date Deposited: 30 Sep 2010 06:40
Last Modified: 30 Sep 2010 06:40
URI: http://repo.uum.edu.my/id/eprint/784

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